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Portfolio Risk in Multiple Frequencies

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3 Author(s)
Torun, M.U. ; Dokuz Eylul Univ. (D.E.U.), Izmir, Turkey ; Akansu, A.N. ; Avellaneda, M.

Portfolio risk, introduced by Markowitz in 1952 and defined as the standard deviation of the portfolio return, is an important metric in the modern portfolio theory (MPT). A popular method for portfolio selection is to manage the risk and return of a portfolio according to the cross-correlations of returns for various financial assets. In a real-world scenario, estimated empirical financial correlation matrix contains significant level of intrinsic noise that needs to be filtered prior to risk calculations.

Published in:

Signal Processing Magazine, IEEE  (Volume:28 ,  Issue: 5 )